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Chapter 71 Econometric Evaluation of Social Programs, Part II: Using the Marginal Treatment Effect to Organize Alternative Econometric Estimators to Evaluate Social Programs, and t...
Heckman, James J.; Vytlacil, Edward J. - In: Handbook of econometrics : volume 6B, (pp. 4875-5143). 2007
marginal treatment effect. All of the estimation methods used in the applied evaluation literature, such as matching … evaluation of social programs. The marginal treatment effect is a choice-theoretic parameter that can be interpreted as a …
Persistent link: https://www.econbiz.de/10014024944
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A nonparametric method for predicting survival probabilities
Klaauw, Bas van der; Vriend, Sandra - 2015
Public programs often use statistical profiling to assess the risk that applicants will become long-term dependent on the program. The literature uses linear probability models and (Cox) proportional hazard models to predict duration outcomes. These either focus on one threshold duration or...
Persistent link: https://www.econbiz.de/10011391532
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The One-Trading-Day-Ahead Forecast Errors of Intra-Day Realized Volatility
Degiannakis, Stavros Antonios - 2018
Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility …. The exploration of forecast errors is paving the way for rethinking the evaluation of ultra-high frequency realized …
Persistent link: https://www.econbiz.de/10012910114
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Mixed frequency forecasts for Chinese GDP
Maier, Philipp - 2011
We evaluate different approaches for using monthly indicators to predict Chinese GDP for the current and the next quarter ('nowcasts' and 'forecasts' respectively). We use three types of mixed-frequency models, one based on an economic activity indicator (Liu et al., 2007), one based on...
Persistent link: https://www.econbiz.de/10008933570
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Estimating Loss Functions of Experts
Franses, Philip Hans; Legerstee, Rianne; Paap, Richard - 2011
We propose a new and simple methodology to estimate the loss function associated with experts' forecasts. Under the assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex loss function can easily be estimated using a linear...
Persistent link: https://www.econbiz.de/10010326488
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Are survey-based inflation expections in the euro area informative?
Mestre, Ricardo - 2007
This paper contributes to the old theme of testing for rationality of inflation expectations in surveys, using two very different surveys in parallel. Focusing on the euro area and using two well-known surveys that include questions on inflation expectations, the Consensus Forecast survey and...
Persistent link: https://www.econbiz.de/10011604767
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Sequential methodology for signaling business cycle turning points
Golosnoy, Vasyl; Hogrefe, Jens - 2009
The dates of U.S. business cycle are reported by NBER with a considerable delay, so an early notion of turning points is of particular interest. This paper proposes a novel sequential approach designed for timely signaling these turning points. A directional cumulated sum decision rule is...
Persistent link: https://www.econbiz.de/10010265239
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Mixed frequency forecasts for Chinese GDP
Maier, Philipp - 2011
We evaluate different approaches for using monthly indicators to predict Chinese GDP for the current and the next quarter ('nowcasts' and 'forecasts' respectively). We use three types of mixed-frequency models, one based on an economic activity indicator (Liu et al., 2007), one based on...
Persistent link: https://www.econbiz.de/10010279856
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On the advantages of disaggregated data: Insights from forecasting the US economy in a data-rich environment
Perevalov, Nikita; Maier, Philipp - 2010
The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at disaggregated levels to examine the source of the improved...
Persistent link: https://www.econbiz.de/10010279898
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Lean' versus 'rich' data sets: Forecasting during the great moderation and the great recession
Lombardi, Marco J.; Maier, Philipp - 2010
We evaluate forecasts for the euro area in data-rich and 'data-lean' environments by comparing three different approaches: a simple PMI model based on Purchasing Managers' Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus data...
Persistent link: https://www.econbiz.de/10010280041